Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution

DOI10.1016/j.csda.2008.02.026zbMath1453.60005OpenAlexW2138369307MaRDI QIDQ961440

Emanuele Taufer, Nikolai N. Leonenko

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.02.026

zbMATH Keywords

Lévy processesOrnstein-Uhlenbeck processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to probability theory (60-08)

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